The Balrogs were originally Fire-Maiar or something like that. Just as Ossė and Uinen are Water-Maiar. Sauron was a servant of Aulė; he had no business with fire and therefore did not become a Balrog.
Exactly how the transition from Maia to Demon works I do not know.
Greetings, gildor
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Do not meddle in the affairs of wizards for they are subtle and quick to anger.
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